Periodicity in Cryptocurrency Volatility and Liquidity*.

This article investigates recurrent patterns in volatility and trading volume for the major cryptocurrencies Bitcoin (BTC) and Ether (ETH) across two centralized exchanges (CEXs)—Binance and Coinbase Pro—and a decentralized exchange (DEX), Uniswap V2. The study identifies systematic intra-week, intra-day, and novel within-the-hour periodicities in volatility and volume, which have intensified over time and are likely linked to algorithmic trading and futures market funding times. It also finds that price discovery predominantly occurs on CEXs, with DEX prices exhibiting sluggish adjustments due to higher transaction costs and slippage. Incorporating these periodic patterns into volatility models, such as GARCH, improves both in-sample and out-of-sample forecasting performance, highlighting the importance of accounting for temporal periodicity in cryptocurrency market analysis.